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The Algorithm Framework

LEAN Algorithm Framework bakes in key quantitative finance concepts,
providing you a well-defined scaffolding as you start designing your
algorithm. The framework allows you to plug in modules created by the
community and radically accelerate your process.

Universe Selection

Select a universe of assets with predefined filter criteria to
reduce selection bias, or pick from one of the community
universe selection models to quickly get an index of the most
tradable assets.

Alpha Creation

Generate an insight (expected return) for the assets you’ve
selected from your universe. Fast-track algorithm development
by spending the majority of your effort developing alpha
insights, reusing pluggable modules for other parts of
your algorithm.